Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 28 (1993)
Issue (Month): 03 (September)
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- David S. Bates, 1997. "Post-'87 Crash Fears in S&P 500 Futures Options," NBER Working Papers 5894, National Bureau of Economic Research, Inc.
- Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012. "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 106(2), pages 331-348.
- Saikat Nandi, 1995. "Asymmetric information about volatility and option markets," Working Paper 95-19, Federal Reserve Bank of Atlanta.
- Gianluca Cassesse & Massimo Guidolin, 2005. "Modelling the MIB30 implied volatility surface. Does market efficiency matter?," Working Papers 2005-008, Federal Reserve Bank of St. Louis.
- Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
- Alexander K. Koch & Zdravetz Lazarov, 2005.
"Clustering of Trading Activity in the DAX Index Options Market,"
Royal Holloway, University of London: Discussion Papers in Economics
05/02, Department of Economics, Royal Holloway University of London, revised Mar 2005.
- Alexander K. Koch & Zdravetz Lazarov, 2001. "Clustering of Trading Activity in the DAX Index Options Market," Bonn Econ Discussion Papers bgse30_2001, University of Bonn, Germany.
- Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
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